Asymmetric Random Walk on $\mathbb{Z}$

probabilityrandom walk

Suppose we have an asymmetric random walk on $\mathbb{Z}$ starting at $0$, with transition probabilities $p(x,x+1)=\frac{1}{3}$ and $p(x, x-1)=\frac{2}{3}$. What is the probability that this random walk ever reaches some positive integer $n$?

I see that this random walk is asymmetric and the probability that it ever reaches any negative integer is $1$. But I am not sure about the case for positive $n$. I can only intuitively guess that the probability gets closer to $0$ the bigger $n$ is, but I was wondering how one would solve for each $n$.

Best Answer

Let $a$ be the probability that you ever reach $n+1$ from $n$. Then we know that $$a=\frac23a^2 + \frac13^*$$ which gives us $a=\frac12$, as $a\neq 1$.

*How did I get this? Notice that the probability you ever reach $n+1$ in the next move is $\frac13$ -- and if you don't reach it in one move, then you go down a step. This means the probability of reaching it is $a^2$ because you need to move up twice, for a total of, well, what it says there.

So your answer is just $a^n=\frac1{2^n}$.

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